Cointegrated Andean Mean-Reversion (CAMR)

Family: mean_reversion · Regime: ranging · Complexity: high · Asset classes: Equities, ETFs · Timeframes: 1H, 4H, Daily

Thesis

Assets that are statistically cointegrated with a benchmark (like SPY) possess a structural 'gravitational pull' toward their relative mean. When volatility (Keltner) reaches an extreme and momentum (Andean) signals a reversal, the probability of a snap-back to the mean is maximized. This edge exists because market participants often overreact to idiosyncratic news, temporarily decoupling an asset from its broader market correlation before arbitrageurs restore the cointegrated equilibrium.

Components

• Cointegration (COINTEGRATION) (regime) — Filters for periods where the asset is statistically tethered to the benchmark (SPY), ensuring mean-reversion probability is high.
• Andean Oscillator (direction) — Detects shifts in bullish/bearish momentum using price extreme variance; used to confirm that a mean-reversion move has actual 'attack' strength.
• SuperTrend & Pivots (entry) — Provides the final execution trigger by ensuring price is aligned with the local trend and has cleared daily pivot levels.
• ADX / Connectable [Azullian] (exit) — Exits the trade when the ADX signals trend exhaustion (slope change) or a loss of directional weight.
• V3-CORPUS-FRACTIONAL-SERIES-DIVISION-INT (risk) — Uses the temporal spacing between bars to adjust position sizing; larger time gaps (illiquidity) result in reduced exposure.
• Keltner Channels (volatility_filter) — Acts as an overextension filter; mean reversion entries only occur when price has deviated significantly from the EMA.

Known failure conditions

• Cointegration ADF statistic remains above -3.4 for extended periods, indicating a structural decoupling.
• Price consistently fails to reach Keltner Channel extremes, suggesting low-volatility drift rather than mean-reversion opportunities.
• ADX remains below 20 during signal triggers, indicating a lack of tradable momentum.

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